The objectives of this paper are threefold: First; testing the relationship between dividends and earnings, second; examining the correlation among share prices, dividends and profits, third; investigating the behavior of the stock returns. <br>Two aggregate sets of nominal and real data from the UK stock market covering the period from 1963 to 1995 are used. These data were firstly plotted in graphs to generate a comprehensive picture of their behavior and then pre-estimation analysis (stationarity and cointegration) was discussed. Three models (stock price model, dividend model, return model) were estimated using these data to obtain the model hypothesis inferences and then post-estimation (classical linear model assumption (CLMA)) examinations were performed in addition to the invistigation of the models structural stability. <br>Pre-estimation tests suggested that, in general term, the data can be safely used to estimate the regression models since data stationarity-cointegration problems found to be limited. The findings of this research revealed that the relationship among share prices, dividends and profits, is strong (R2 = 0.97) and support the idea that dividends is the greatest variable in predicting the share price. The most important predicting factor of the changes in share prices was found to be the changes in profits and previous changes (3ed Lag) in dividends. The study results also show that changes in dividends are affected by earnings, changes in earnings and dividends. They suggest that changes in dividends is the strongest variable in explaining the variation in the stock returns followed by changes in earnings. In general, all models satisfy the CLMA. The oil crises in the early 1970s had a major impact on the models structural stability.<br>